AN ARITHMETIC PURE-JUMP MULTI-CURVE INTEREST RATE MODEL

We propose a multi-curve model involving interest rates and spreads which are modeled by arithmetic martingale processes being larger than some arbitrarily chosen constant. Under our mean-reverting pure-jump approach, we derive tractable martingale representations for the OIS rate, the spread, as well as the LIBOR rate, and provide analytical caplet price formulae. In a second part, we introduce an extended jump-diffusion version of our model and investigate hedging and the computation of Greeks under this new specification. As a by-product, we infer the related arithmetic pure-jump single-curve model. We finally consider the modeling of future information in multi-curve interest rate markets by enlarged filtrations and deduce the related OIS and LIBOR rate representations as well as the corresponding information premium.

Higher private financing could boost mining investment

Subject Private mining finance. Significance The financing of mining and exploration projects is undergoing a major shift. Large miners have traditionally accessed affordable debt while smaller explorers and developers relied on equity markets, buoyed by retail interest, particularly in Canada and Australia. Additional capital has been provided by royalties, metal offtake, streaming or farm-ins by majors, whereby an operator buys or acquires an interest in another operator’s lease. Despite higher prices in the last two years, capital remains scarce, especially for newcomers. However, private equity is developing knowledge of this volatile and technical sector. Impacts The three-month Libor rate has doubled in the last twelve months; this will significantly increase the cost of financing new projects. Arbitrageurs will try to profit from equity issuance diluting existing shareholders ownership; convertible debentures will be a focus. In late 2017 Glencore launched a major royalty company specialising in industrial metals, the largest to specialise in this.

Calculating Quantitative Integrity and Secrecy for Imperative Programs

This paper presents a framework for calculating measures of data integrity for programs in a small imperative language. The authors develop a Markov chain semantics for their language which calculates Clarkson and Schneider's definitions of data contamination, data suppression, program suppression and program transmission. The authors then propose their own definition of program integrity for probabilistic specifications. These definitions are based on conditional mutual information and entropy; they present a result relating them to mutual information, which can be calculated by a number of existing tools. The authors extend a quantitative information flow tool (CH-IMP) to calculate these measures of integrity and demonstrate this tool with examples including error correcting codes, the Dining Cryptographers protocol and the attempts by a number of banks to influence the Libor rate.

THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM

We study the simulation of range accrual coupons when valuing callable range accruals in the displaced-diffusion LIBOR market model (DDLMM). We introduce a number of new improvements that lead to significant efficiency improvements, and explain how to apply the adjoint-improved pathwise method to calculate deltas and vegas under the new improvements, which was not previously possible for callable range accruals. One new improvement is based on using a Brownian-bridge-type approach for simulating the range accrual coupons. We consider a variety of examples, including when the reference rate is a LIBOR rate, when it is a spread between swap rates, and when the multiplier for the range accrual coupon is stochastic.